摘要
利用马尔可夫转换GARCH模型分别对上证综指和富时指数进行分析,并对两个市场指数进行对比研究.结果表明,当残差项服从t分布时,该模型能够更好地拟合上证综指和富时指数.同时,上证综指和富时指数都以中低波动为主,但是富时指数的波动周期明显要比上证综指的波动周期长.
Regime-switching GARCH model is used to study both Chinese Shanghai Composite Index and British FTSE Index.The results have shown that when the error follows the student-t distribution,these two stock data can be better measured.Besides,these two indexes both have the characteristics of low and median volatility.In terms of the period,FTSE Index shows longer volatility time.
作者
许菲
XU Fei(School of Applied Mathematics，Nanjing University of Finance and Economics,Nanjing 210046,China)
出处
《淮海工学院学报（自然科学版）》
CAS
2018年第1期5-9,共5页
Journal of Huaihai Institute of Technology:Natural Sciences Edition
